Alan, Sule Honoré, Bo E. Hu, Luojia Leth-Petersen, Søren
Year of Publication:
Working Paper No. 2011-08
Federal Reserve Bank of Chicago, Chicago, IL
This paper constructs estimators for panel data regression models with individual specific heterogeneity and two-sided censoring and truncation. Following Powell (1986) the estimation strategy is based on moment conditions constructed from re-censored or re-truncated residuals. While these moment conditions do not identify the parameter of interest, they can be used tomotivate objective functions that do. We apply one of the estimators to study the effect of a Danish tax reform on household portfolio choice. The idea behind the estimators can also be used in a cross sectional setting.
Panel Data Censored Regression Truncated Regression